Search Results - subject:"Point-mass Mixture"

Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2011

cumulated trading volumes. We introduce a flexible point-mass mixture distribution and develop a semiparametric specification …

Persistent link: https://www.econbiz.de/10010308578

Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - Center for Financial Studies - 2011

cumulated trading volumes. We introduce a flexible point-mass mixture distribution and develop a semiparametric specification …

Persistent link: https://www.econbiz.de/10010958711

Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2010

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...

Persistent link: https://www.econbiz.de/10010303692

Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - Center for Financial Studies - 2010

Persistent link: https://www.econbiz.de/10010958666

Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

cumulated trading volumes or the time between potentially simultaneously occurring market events. We introduce a flexible point-mass … mixture distribution and develop a semiparametric specification test explicitly tailored for such distributions. Moreover, we …

Persistent link: https://www.econbiz.de/10008727350

Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2010

Persistent link: https://www.econbiz.de/10010281483

Capturing the zero : a new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 89-121

Persistent link: https://www.econbiz.de/10010233604